Cardiff Bay is not very far from Cardiff City. It's a 10 - 15 minute walk from the south side of the railway station (there are trains, of course). The whole harbour includes historic buildings, including the red house of the harbour building, as well as the city centre facing the harbour with glass curtain walls and a modern complex. The whole bay has bicycle lanes and piles of food and beverages facing the sea, which is very lifelike. Occasionally visible sailing boats add vitality